Robust covariance estimators for mean-variance portfolio optimization with transaction lots
Year of publication: |
2020
|
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Authors: | Rosadi, Dedi ; Setiawan, Ezra Putranda ; Templ, Matthias ; Filzmoser, Peter |
Published in: |
Operations research perspectives. - Amsterdam [u.a.] : Elsevier, ISSN 2214-7160, ZDB-ID 2821932-6. - Vol. 7.2020, p. 1-11
|
Subject: | Finance | Markowitz portfolio | Transaction lots | Robust estimation | Genetic algorithm | Mathematische Optimierung | Mathematical programming | Portfolio-Management | Portfolio selection | Schätztheorie | Estimation theory | Robustes Verfahren | Robust statistics | Transaktionskosten | Transaction costs |
Type of publication: | Article |
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Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
Language: | English |
Other identifiers: | 10.1016/j.orp.2020.100154 [DOI] hdl:10419/246426 [Handle] |
Source: | ECONIS - Online Catalogue of the ZBW |
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